期貨最適組合避險模型：新興市場為例

Abstract

過去文獻上有為數不少的學者探討各式期貨避險模型，希望能找出達到避險投資組合報酬變異最小的最適避險比率，然而各式避險模型所擷取訊息之角度與程度並不相同，各有千秋。本文提出組合式避險模型，將個別單一模型依不同權重組合形成新的動態避險模型，期能同時納入不同單一模型之優點，使能有效提高避險績效。本研究以五項新興市場指數期貨為例，實證結果發現，等權平均計算之組合式避險方式有助於避免選取失敗模型，可作為投資人進行避險策略之選擇依據。

A sizable research effort has been made to find optimal hedging ratios using futures contracts. The discussion however is limited to a comparison between individual models. Instead of single hedge model, the purpose of this study is to propose an innovative composite hedging strategy by combing different hedging models. The rationale behind the specification is that the composite hedging model synthesizes the advantages from different hedge models and therefore has the potential to improve the hedging performance in terms of risk reduction in portfolio returns. Using stock markets in emerging countries, the empirical results suggest that the equal-weighted composite hedge models particularly have the power to avoid the worst model and should be recognized as a useful hedging strategy.